Place bread dough on a lightly greased jelly roll pan and flatten into a rectangle approximately that size with your hands. Layer half of mozzarella cheese, cheddar cheese, and pepperoni down the center of the bread dough. Fold one side of the dough over the filling. Layer remainder of mozzarella, cheddar, ad pepperoni on top of that. Fold remaining dough over filling and seal well. Brush with beaten egg. Bake at 350° for 30 minutes. Slice and serve.